CQP Options History — March 2020

In March 2020, CQP traded between $18.33 and $34.44. ATM implied volatility averaged 95.9%, placing in the 82.2% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded above realized volatility by 2.4% (HV 20d: 93.5%). Max pain ranged from $30.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.52.

Notable Days

  • 2020-03-05: Highest Volume — 330 contracts
  • 2020-03-09: Largest IV spike — 69.5% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 42.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.24$18.33$34.44$34.44$25.38
Max Pain$34.41$30.00$43.00$43.00$30.00
ATM IV95.9%45.3%149.8%45.3%82.2%
Expected Move26.6%12.3%42.9%13.0%23.6%
HV 20d93.5%31.3%149.4%31.4%149.4%
HV 60d59.3%25.7%88.2%25.7%88.2%
IV Rank82.2%49.3%100.0%87.8%49.3%
IV Percentile98.6%93.7%100.0%99.6%93.7%
Term Structure-19.3%-42.6%0.8%-7.9%0.8%
VWIV84.2%42.6%130.7%47.9%84.1%
Skew 25d18.9%2.6%36.7%9.9%33.9%
Skew 10d34.9%-20.4%125.5%29.3%7.1%
Call IV 25d82.3%39.7%126.0%39.7%60.0%
Put IV 25d101.1%49.6%156.8%49.6%93.9%
Bid-Ask Spread %79.4147.53100.4163.74100.41
Gamma HHI0.150.110.200.200.11
Net GEX38.5K8.9K99.9K99.9K31.6K
Net DEX4.6M304.7K7.2M6.4M810.2K
Net VEX-16.8K-25.5K-7.7K-25.5K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.044.780.211.09
Total Volume141.52633026692
Total OI8,012.5914,12210,2119,2044,449

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$34.44$43.0045.3%13.0%31.4%87.8%47.9%9.9%-7.9%99.9K6.4M-25.5K0.2163.74220466,1243,080
2020-03-03$33.83$43.0047.7%13.7%31.7%95.1%45.5%9.4%-6.6%89.3K6.6M-23.9K0.2673.9638106,0423,095
2020-03-04$32.72$43.0047.3%13.6%32.4%93.8%48.7%9.8%-8.7%78.0K7.1M-20.8K0.3665.2277286,0643,098
2020-03-05$31.83$35.0055.2%12.3%32.8%100.0%42.6%8.6%-5.6%69.5K7.1M-19.6K1.9547.531122186,1383,112
2020-03-06$30.63$35.0068.3%15.4%31.3%100.0%49.0%12.6%-13.1%50.1K7.2M-20.9K2.4656.03631556,2493,320
2020-03-09$26.70$36.00115.7%24.8%54.7%100.0%70.5%18.7%-25.7%41.2K6.2M-19.4K0.1998.4374146,3813,299
2020-03-10$27.91$35.0099.7%25.0%57.6%83.9%72.2%4.6%-24.5%39.8K7.0M-17.5K3.0979.42541676,4013,306
2020-03-11$28.75$34.0085.4%24.5%58.1%69.5%78.9%19.8%-29.1%45.4K6.4M-21.8K0.0478.125326,4343,433
2020-03-12$25.61$34.00106.1%30.4%67.8%90.4%94.4%14.5%-32.7%25.5K6.3M-17.4K3.8688.15441706,4823,435
2020-03-13$27.68$34.0096.3%27.6%75.9%80.5%93.6%20.1%-31.7%34.5K6.2M-21.7K0.4388.57117506,5063,561
2020-03-16$26.07$34.00109.5%31.4%77.4%93.8%81.4%17.6%-23.8%25.1K6.5M-17.9K3.3671.9428946,5043,570
2020-03-17$24.97$34.00109.3%31.3%77.6%93.6%69.0%27.8%-29.0%19.7K6.5M-16.5K1.8563.1540746,5243,579
2020-03-18$18.33$34.00149.8%42.9%127.9%100.0%130.7%30.8%-42.6%8.9K5.8M-7.7K0.7873.01123966,5433,574
2020-03-19$20.38$34.00133.7%38.3%137.3%87.9%125.3%30.9%-41.7%15.1K5.8M-12.5K2.8377.7812346,5713,614
2020-03-20$21.64$34.00109.8%31.5%140.9%70.0%104.1%22.5%-25.2%19.0K6.3M-11.9K1.6695.961081796,5763,635
2020-03-23$21.98$33.00114.3%32.8%141.6%73.4%108.2%32.4%-16.7%19.6K799.7K-12.0K2.4077.5025603,1071,015
2020-03-24$22.33$32.00108.1%31.0%142.3%68.7%91.5%36.7%-7.9%20.3K706.0K-12.6K0.6173.6990553,1241,025
2020-03-25$24.34$30.00114.4%32.8%147.2%73.5%104.8%12.5%-15.2%30.5K304.7K-15.7K0.3498.6761213,1811,055
2020-03-26$23.52$30.00109.4%31.4%147.4%69.7%112.0%2.6%-18.9%27.0K574.3K-13.8K0.6799.9830203,2241,071
2020-03-27$24.04$30.00106.9%30.6%148.0%67.8%98.8%20.7%-15.9%29.1K527.5K-14.3K4.7886.77231103,2461,091
2020-03-30$24.17$30.0095.5%27.4%147.5%59.3%98.4%18.5%-2.2%28.1K704.9K-13.0K0.1388.962333,2591,180
2020-03-31$25.38$30.0082.2%23.6%149.4%49.3%84.1%33.9%0.8%31.6K810.2K-12.4K1.09100.4144483,2691,180